The objective of this seminar is to give the participants a good understanding of bonds, of the functioning
of global bond markets, and of the risk/return characteristics of bonds. We start with an overview of the
World’s bond markets, and we give examples of the various types of bonds that are traded in these markets.
We discuss their major characteristics and we explain how they are traded in the primary (new issues) and
secondary markets. Next, we explain how the cash flows of various bond types are derived and how these cash
flows are valued using generic "Time Value of Money" analysis tools. We show how these tools are used to
calculate future value, present value and realized compound return. We then explain how key ratios such as
clean price, dirty price, yield, duration, modified duration and convexity are calculated in accordance
with various conventions. We also explain how these key ratios should be interpreted and illustrated by a
number of practical examples. Among other things, we show how yield expectations and duration can be
combined to obtain quick estimates of the expected return and risk of bond investments. We also explain how
the key ratios can be calculated at the portfolio level, using exact cash flows and approximation
techniques. Next, we explain the concept of a "Yield Curve" and we show how yield curves are used in bond
pricing and for breakeven analysis when assessing alternative bond investments. Finally, using a "Horizon
Analysis", we explain how expected return and risk can be quantified based upon explicit assumptions about
reinvestment rates and horizon yields, including scenarios for nonparallel shifts in the yield curve.
Day One
09.00  09.15 Welcome and Introduction
09.15  12.00 Bonds and Bond Markets
 Types of Bonds
 A Sightseeing Tour of World Bond Markets
 How Bonds are Traded
 Issuer and Investor Perspectives
Cash Flow Analysis
 Cash Flows for Typical Bond Structures
 Time Value of Money
 Future and Present Value
 Simple and Compound Return
 Annuities
 Examples and Exercises
12.00  13.00 Lunch
13.00  16.30 Price and Yield Analysis
 The Price/Yield Relationship
 Clean and Dirty Price
 Accrual Conventions

Types of Yield
 YTM
 Realized yield
 Horizon yield
 Yield to call
 Yield Calculation
 Yield Conventions

Yield Decomposition
 Current yield
 Interest upon interest
 "Pulltomaturity"
 Examples and Exercises
Day Two
09.00  09.15 Brief recap
09.15  12.00 Risk Analysis
 Price Volatility and Interest Rate Volatility
 Sources of Interest Rate Volatility

Key Ratios for Interest Rate Sensitivity
 Duration
 Modified Duration
 Dollar Duration
 BPV
 Convexity and Relative Convexity
 Portfolio Key Ratios
 Calculation of Expected Return Using "Babcocks Formula"
 Examples and Exercises
12.00  13.00 Lunch
13.00  16.30 Yield Curve Analysis
 The Coupon Yield Curve and the Spot Curve
 Interpretations of the Yield curve
 Pricing Bonds Using the Yield Curve
 Calculating Forward Rates
Total Return Analysis (Horizon Analysis)
 Purpose of Total Return Analysis
 "Total Return" Defined
 Assessing Reinvestment Risk
 Assessing Principal Risk
 Calculating Expected Return
 Sensitivity Analysis
 Bond Switching Strategies
 Exercises
Evaluation and Termination of the Seminar